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Fixed PAC/MCE with non optimizing behaviour. 

Alse added integration tests for PAC/MCE.
time-shift
Stéphane Adjemian (Charybdis) 2019-02-25 23:07:57 +01:00
parent f1707039dd
commit 445f88df55
Signed by untrusted user who does not match committer: stepan
GPG Key ID: A6D44CB9C64CE77B
5 changed files with 167 additions and 1 deletions
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2
preprocessor

@ -1 +1 @@
Subproject commit abde60fbeaa36704054a23606057e4d35495b898
Subproject commit effa40543e816507187fe90da340fd76be2dc237

2
tests/Makefile.am
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@ -420,6 +420,8 @@ MODFILES = \
pac/trend-component-19/example3.mod \
pac/trend-component-1-mce/example_det.mod \
pac/trend-component-1-mce/example_sto.mod \
pac/trend-component-2-mce/example_det.mod \
pac/trend-component-2-mce/example_sto.mod \
ecb/backward-models/irf/solow_1.mod \
ecb/backward-models/irf/solow_2.mod \
dynare-command-options/ramst.mod

13
tests/pac/trend-component-2-mce/clean Executable file
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#!/bin/sh
rm *.eps
rm -rf example_det
rm -rf +example_det
rm -f example_det*.mat
rm -f example_det.log
rm -rf example_sto
rm -rf +example_sto
rm -f example_sto*.mat
rm -f example_sto.log

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tests/pac/trend-component-2-mce/example_det.mod Normal file
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// --+ options: json=compute +--
var x1 x2 x1bar x2bar z y1 y2;
varexo ex1 ex2 ex1bar ex2bar ez ey1 ey2;
parameters a_x1_0 a_x1_1 a_x1_2 a_x1_x2_1 a_x1_x2_2
a_x2_0 a_x2_1 a_x2_2 a_x2_x1_1 a_x2_x1_2
e_c_m c_z_1 c_z_2 gamma beta ;
a_x1_0 = -.9;
a_x1_1 = .4;
a_x1_2 = .3;
a_x1_x2_1 = .1;
a_x1_x2_2 = .2;
a_x2_0 = -.9;
a_x2_1 = .2;
a_x2_2 = -.1;
a_x2_x1_1 = -.1;
a_x2_x1_2 = .2;
beta = .2;
e_c_m = .5;
c_z_1 = .2;
c_z_2 = -.1;
gamma = .7;
trend_component_model(model_name=toto, eqtags=['eq:x1', 'eq:x2', 'eq:x1bar', 'eq:x2bar'], targets=['eq:x1bar', 'eq:x2bar']);
pac_model(discount=beta, model_name=pacman);
model;
[name='eq:exo:1']
diff(y1) = .7*diff(y1(-1)) - .3*diff(y1(-2)) + ey1;
[name='eq:exo:2']
diff(y2) = .5*diff(y2(-1)) - .2*diff(y2(-3)) + ey2;
[name='eq:x1']
diff(x1) = a_x1_0*(x1(-1)-x1bar(-1)) + a_x1_1*diff(x1(-1)) + a_x1_2*diff(x1(-2)) + a_x1_x2_1*diff(x2(-1)) + a_x1_x2_2*diff(x2(-2)) + ex1;
[name='eq:x2']
diff(x2) = a_x2_0*(x2(-1)-x2bar(-1)) + a_x2_1*diff(x1(-1)) + a_x2_2*diff(x1(-2)) + a_x2_x1_1*diff(x2(-1)) + a_x2_x1_2*diff(x2(-2)) + ex2;
[name='eq:x1bar']
x1bar = x1bar(-1) + ex1bar;
[name='eq:x2bar']
x2bar = x2bar(-1) + ex2bar;
[name='eq:pac']
diff(z) = gamma*(e_c_m*(x1(-1)-z(-1)) + c_z_1*diff(z(-1)) + c_z_2*diff(z(-2)) + pac_expectation(pacman)) + (1-gamma)*(.5*diff(y1)-.7*diff(y2)) + ez;
end;
// Initialize the PAC model.
pac.initialize('pacman');
// Update the PAC/MCE parameters (α in M_.params).
pac.mce.parameters('pacman');
// Setup a scenario for the shocks.
shocks;
var ex1;
periods 1;
values .2;
end;
perfect_foresight_setup(periods=50);
perfect_foresight_solver;

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tests/pac/trend-component-2-mce/example_sto.mod Normal file
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// --+ options: json=compute, stochastic +--
var x1 x2 x1bar x2bar z y1 y2;
varexo ex1 ex2 ex1bar ex2bar ez ey1 ey2;
parameters a_x1_0 a_x1_1 a_x1_2 a_x1_x2_1 a_x1_x2_2
a_x2_0 a_x2_1 a_x2_2 a_x2_x1_1 a_x2_x1_2
e_c_m c_z_1 c_z_2 gamma beta ;
a_x1_0 = -.9;
a_x1_1 = .4;
a_x1_2 = .3;
a_x1_x2_1 = .1;
a_x1_x2_2 = .2;
a_x2_0 = -.9;
a_x2_1 = .2;
a_x2_2 = -.1;
a_x2_x1_1 = -.1;
a_x2_x1_2 = .2;
beta = .2;
e_c_m = .5;
c_z_1 = .2;
c_z_2 = -.1;
gamma = .7;
trend_component_model(model_name=toto, eqtags=['eq:x1', 'eq:x2', 'eq:x1bar', 'eq:x2bar'], targets=['eq:x1bar', 'eq:x2bar']);
pac_model(discount=beta, model_name=pacman, steady_state_growth=.0);
model(linear);
[name='eq:exo:1']
diff(y1) = .7*diff(y1(-1)) - .3*diff(y1(-2)) + ey1;
[name='eq:exo:2']
diff(y2) = .5*diff(y2(-1)) - .2*diff(y2(-3)) + ey2;
[name='eq:x1']
diff(x1) = a_x1_0*(x1(-1)-x1bar(-1)) + a_x1_1*diff(x1(-1)) + a_x1_2*diff(x1(-2)) + a_x1_x2_1*diff(x2(-1)) + a_x1_x2_2*diff(x2(-2)) + ex1;
[name='eq:x2']
diff(x2) = a_x2_0*(x2(-1)-x2bar(-1)) + a_x2_1*diff(x1(-1)) + a_x2_2*diff(x1(-2)) + a_x2_x1_1*diff(x2(-1)) + a_x2_x1_2*diff(x2(-2)) + ex2;
[name='eq:x1bar']
x1bar = x1bar(-1) + ex1bar;
[name='eq:x2bar']
x2bar = x2bar(-1) + ex2bar;
[name='eq:pac']
diff(z) = gamma*(e_c_m*(x1(-1)-z(-1)) + c_z_1*diff(z(-1)) + c_z_2*diff(z(-2)) + pac_expectation(pacman)) + (1-gamma)*(.5*diff(y1)-.7*diff(y2)) + ez;
end;
// Initialize the PAC model.
pac.initialize('pacman');
// Update the PAC/MCE parameters (α in M_.params).
pac.mce.parameters('pacman');
// Setup a scenario for the shocks.
shocks;
var ex1 = .01;
var ex2 = .01;
var ey1 = .005;
var ey2 = .007;
var ex1bar = .0;
var ex2bar = .0;
var ez = .02;
end;
stoch_simul(periods=1000, noprint);